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Bibliographic Details

Title: Derivatives in Financial Markets with Stochastic Volatility
Publisher: Cambridge University Press
Publication Date: 2000
Language: English
ISBN 10: 0521791634
ISBN 13: 9780521791632
Binding: hardcover
Condition: As New
Weight: 16 ounces

About this title

Synopsis

This important work addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. The authors present mathematical and statistical tools that exploit the volatile nature of the market. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one-semester course for graduate students with some exposure to methods of stochastic modeling and arbitrage pricing theory in finance. The volume is easily accessible to derivatives practitioners in the financial engineering industry.

Book Description

This book addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. It presents mathematical and statistical tools that exploit the bursty nature of market volatility. The mathematics are introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one semester course for graduate students who have had exposure to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry.

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Grifin Books is a small family run bookstore based in Connecticut. Our selection is typically very eclectic, as is our taste in books, but we lean towards esoteric non fiction. All inquiries are answered as soon as possible and if we can be of assistance with any of your book needs or questions please contact us. David Greif head book wrangler and bottle washer. 203 353 9193 dagreif@yahoo.com

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